Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0223 |
| Annualized Std Dev | 0.2377 |
| Annualized Sharpe (Rf=0%) | 0.0936 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3325.0000 |
| NAs | 1.0000 |
| Minimum | -0.1242 |
| Quartile 1 | -0.0059 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1139 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | -0.4790 |
| Kurtosis | 9.8482 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0110 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0123 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.6109 |
| Historical VaR (95%) | -0.0228 |
| Historical ES (95%) | -0.0375 |
| Modified VaR (95%) | -0.0234 |
| Modified ES (95%) | -0.0465 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-20 | 2009-03-09 | 2014-01-10 | -0.6109 | 1419 | 202 | 1217 |
| 2020-02-13 | 2020-03-23 | 2020-08-12 | -0.3657 | 126 | 27 | 99 |
| 2018-01-29 | 2018-12-24 | 2020-01-17 | -0.2545 | 497 | 229 | 268 |
| 2014-03-07 | 2016-02-11 | 2017-11-21 | -0.2489 | 937 | 488 | 449 |
| 2008-01-02 | 2008-01-17 | 2008-05-08 | -0.1507 | 89 | 12 | 77 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 | 0.5 |
| 2008 | 3.5 | -1.7 | 1 | 0.6 | 0.6 | -1.7 | -2 | 0.1 | 0.8 | 1.6 | -4.5 | 1.3 | -0.6 |
| 2009 | 0.1 | 0.1 | 1.4 | 2.1 | 1.3 | 1.6 | 1 | -2.9 | -3.8 | -3.3 | 3 | -0.3 | 0 |
| 2010 | 2.1 | 1.9 | 1.8 | -2.1 | -2.3 | 0 | 0.3 | 3.9 | 1.3 | 0.2 | 3.7 | 0.7 | 11.7 |
| 2011 | 2.9 | -0.8 | 1.2 | 0.4 | -1.8 | 1 | -0.5 | -0.9 | -4.2 | -2.8 | -0.7 | 0.5 | -6 |
| 2012 | 1.3 | 0.4 | 1.2 | 0.8 | -3.5 | 3.9 | -0.1 | 1.2 | 0.8 | 1 | 0.3 | 1.9 | 9.5 |
| 2013 | 1.8 | 0.1 | -0.8 | -0.6 | -2.2 | 1.2 | 1.1 | -0.4 | 1.2 | -0.2 | 0.4 | 0.8 | 2.4 |
| 2014 | -1.4 | 0.9 | 1.3 | 0.5 | 0.4 | 1.1 | -0.4 | -0.2 | -1.3 | 1.1 | -0.1 | -0.9 | 0.9 |
| 2015 | -1.2 | 0.1 | 0.1 | 0.6 | -0.2 | 0.4 | 1.2 | -2.6 | 0.6 | -0.1 | 0.9 | -1.4 | -1.5 |
| 2016 | 0.8 | 2.3 | -0.4 | 0.2 | 0.1 | 0.7 | -0.8 | 0.9 | 1 | -0.4 | -0.3 | 0.2 | 4.2 |
| 2017 | 0 | 1.1 | 0 | 0.7 | 0.7 | 0.7 | 0.4 | 0.3 | 0.7 | -0.1 | -0.2 | -0.2 | 4.1 |
| 2018 | 0.1 | -1.6 | 1.3 | 0 | 0.5 | 1.1 | -0.5 | -0.9 | 0.2 | 1.3 | -1 | 0.5 | 1.1 |
| 2019 | 0 | 0.9 | 0.7 | -0.9 | -0.2 | 0.4 | 0.5 | 0.8 | -0.7 | 0.9 | -0.1 | -0.2 | 2 |
| 2020 | -1.6 | -1.5 | -3.7 | -2.1 | 1.2 | 0.6 | -1.8 | 0 | 1.7 | -0.8 | 1.4 | -0.7 | -7.3 |
| 2021 | 1.9 | 2.1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-12-28 25.3 SPY 147. -0.0025 0.0034 0.00120 -0.0346 0.0336 0.216 0.648 GLD 83 0.0177 0.055
2 2007-12-31 25.4 SPY 146. -0.0074 -0.013 -0.0066 -0.0524 0.0281 0.205 0.673 GLD 82.5 -0.0065 0.0295
3 2008-01-02 25.1 SPY 145. -0.0088 -0.0288 -0.0251 -0.0594 0.0234 0.196 0.645 GLD 84.9 0.0291 0.0589
4 2008-01-03 25.1 SPY 145. -0.0005 -0.0314 -0.0191 -0.058 0.0247 0.198 0.642 GLD 85.6 0.0084 0.0497
5 2008-01-04 24.8 SPY 141. -0.0245 -0.0431 -0.0345 -0.0825 -0.0025 0.175 0.552 GLD 85.1 -0.0051 0.0438
6 2008-01-07 24.6 SPY 141. -0.0008 -0.0415 -0.0512 -0.0941 0.0046 0.189 0.546 GLD 84.8 -0.0042 0.0213
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
